We used to be able to select all in a report filter and then deselect a few options from a very long list of dropdown options.
There's another idea for this listed as "shipped" in 2019. I'm not sure why this capability was revoked.
There are some fields that do not yet support select all but we have not intentionally removed select all / clear all for any filters. Someone from our Customer Success team has reached out to learn more. I'll leave this idea open in the meantime.